Related papers: An Optimal Multiple Stopping Approach to Infrastru…

Hybrid locomotion, which combines multiple modalities of locomotion within a single robot, enables robots to carry out complex tasks in diverse environments. This paper presents a novel method for planning multi-modal locomotion…

The rapid expansion of low-cost renewable electricity combined with end-use electrification in transport, industry, and buildings offers a promising path to deep decarbonisation. However, aligning variable supply with demand requires…

Day-ahead scheduling of electricity generation or unit commitment is an important and challenging optimization problem in power systems. Variability in net load arising from the increasing penetration of renewable technologies have…

In this paper, we consider the problem of real-time transmission scheduling over time-varying channels. We first formulate the transmission scheduling problem as a Markov decision process (MDP) and systematically unravel the structural…

The initial phase in real world engineering optimization and design is a process of discovery in which not all requirements can be made in advance, or are hard to formalize. Quality diversity algorithms, which produce a variety of high…

Recent advancements in software and hardware technologies have enabled the use of AI/ML models in everyday applications has significantly improved the quality of service rendered. However, for a given application, finding the right AI/ML…

Optimal inventory leads to stochastic optimization problems where deterministic delivery decisions have to be made in advance of stochastic demand realizations. Similarly, risk deposits have to be given before the random outcomes of…

This paper analyzes the problem of starting and stopping a Cox-Ingersoll-Ross (CIR) process with fixed costs. In addition, we also study a related optimal switching problem that involves an infinite sequence of starts and stops. We…

We consider a production-inventory control model with finite capacity and two different production rates, assuming that the cumulative process of customer demand is given by a compound Poisson process. It is possible at any time to switch…

Advanced societies are crucially dependent on critical infrastructure networks for the reliable delivery of essential goods and services. Hence, well-founded analyses concerning disruptions are necessary to inform decisions that aim to…

Consumer-electronics systems are becoming increasingly complex as the number of integrated applications is growing. Some of these applications have real-time requirements, while other non-real-time applications only require good average…

Bayesian decision theory outlines a rigorous framework for making optimal decisions based on maximizing expected utility over a model posterior. However, practitioners often do not have access to the full posterior and resort to approximate…

Optimal selection of interdependent IT Projects for implementation in multi periods has been challenging in the framework of real option valuation. This paper presents a mathematical optimization model for multi-stage portfolio of IT…

The ubiquitous expansion and transformation of the energy supply system involves large-scale power infrastructure construction projects. In the view of investments of more than a million dollars per kilometre, planning authorities aim to…

The short-term operation of a power system is usually planned by solving a day-ahead unit commitment problem. Due to historical reasons, the commitment of the power generating units is decided over a time horizon typically consisting of the…

This paper presents a simple method for a posteriori (historical) multi-variate multi-stage optimal trading under transaction costs and a diversification constraint. Starting from a given amount of money in some currency, we analyze the…

We study market-consistent valuation of liability cash flows motivated by current regulatory frameworks for the insurance industry. Building on the theory on multiple-prior optimal stopping we propose a valuation functional with sound…

We develop methods to solve general optimal stopping problems with opportunities to stop that arrive randomly. Such problems occur naturally in applications with market frictions. Pivotal to our approach is that our methods operate on…

We consider a continuous-review inventory system in which the setup cost of each order is a general function of the order quantity and the demand process is modeled as a Brownian motion with a positive drift. Assuming the holding and…

Today, a competitive manufacturing environment imposes further production cost reduction on modern companies. Seeking proper recommendations in production and maintenance planning are the two essential cornerstones of effective production…